research
∙
02/27/2023
Asymptotic independence of point process and Frobenius norm of a large sample covariance matrix
A joint limit theorem for the point process of the off-diagonal entries ...
share
research
∙
02/14/2023
Maximum interpoint distance of high-dimensional random vectors
A limit theorem for the largest interpoint distance of p independent and...
research
∙
10/31/2022
Independence testing in high dimensions
This paper takes a different look on the problem of testing the mutual i...
research
∙
08/31/2022
Limiting spectral distribution for large sample correlation matrices
In this paper, we consider the empirical spectral distribution of the sa...
research
∙
01/04/2022
Large sample correlation matrices: a comparison theorem and its applications
In this paper, we show that the diagonal of a high-dimensional sample co...
research
∙
03/25/2021
Logarithmic law of large random correlation matrix
Consider a random vector 𝐲=Σ^1/2𝐱, where the p elements of the vector 𝐱 ...
research
∙
09/06/2020
On estimation of quadratic variation for multivariate pure jump semimartingales
In this paper we present the asymptotic analysis of the realised quadrat...
research
∙
03/08/2020
Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
Consider a p-dimensional population x∈R^p with iid coordinates in the do...
research
∙
01/30/2020
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
In this paper, we show that the largest and smallest eigenvalues of a sa...
research
∙
01/14/2020
Large sample autocovariance matrices of linear processes with heavy tails
We provide asymptotic theory for certain functions of the sample autocov...
research
∙
01/14/2020
